The feedback effects in illiquid markets, hedging strategies of large traders
Institution: | Högskolan i Halmstad |
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Department: | |
Year: | 0 |
Keywords: | feedback; hedging; traders; illiquid; symmetry; analysis; Lie; algebra; Financial Mathematics; Finansiell matematik; Physics, Chemistry, Mathematics; fysik/kemi/matematik |
Record ID: | 1332116 |
Full text PDF: | http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1636 |
The master thesis is devoted to an analysis of equilibrium or reaction-function models in illiquidity markets of derivatives. The main equation is a nonlinear equation which is a perturbation of Black-Scholes model. By using analytical methods we study invariant and scaling properties for the considered model.